Marcello Pericoli

Bank of Italy

Via Nazionale 91

00184 Roma

Italy

http://www.bancaditalia.it

SCHOLARLY PAPERS

22

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5,033

SSRN CITATIONS
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Top 1,573

in Total Papers Citations

299

CROSSREF CITATIONS

764

Scholarly Papers (22)

1.

Correlation Analysis of Financial Contagion: What One Should Know Before Running a Test

Number of pages: 38 Posted: 27 Jun 2001
Giancarlo Corsetti, Marcello Pericoli and Massimo Sbracia
European University Institute, Bank of Italy and Bank of Italy
Downloads 1,060 (39,808)
Citation 3

Abstract:

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Contagion, financial crisis, correlation analysis

2.

Macroeconomics Determinants of the Correlation Between Stocks and Bonds

Bank of Italy Temi di Discussione (Working Paper) No. 1198
Number of pages: 43 Posted: 31 Jul 2019
Marcello Pericoli
Bank of Italy
Downloads 677 (73,131)
Citation 4

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bond market, stock market, macroeconomic shocks, money illusion

3.

The CAPM and the Risk Appetite Index: Theoretical Differences, Empirical Similarities, and Implementation Problems

Number of pages: 26 Posted: 16 Apr 2009 Last Revised: 14 May 2009
Marcello Pericoli and Massimo Sbracia
Bank of Italy and Bank of Italy
Downloads 539 (97,436)

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risk aversion, asset pricing, financial crisis

4.

The CAPM and the Risk Appetite Index: Theoretical Differences and Empirical Similarities

Bank of Italy Economic Research Paper No. 586
Number of pages: 36 Posted: 03 Mar 2005
Marcello Pericoli and Massimo Sbracia
Bank of Italy and Bank of Italy
Downloads 410 (134,849)
Citation 18

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CAPM, risk aversion

Some Contagion, Some Interdependence: More Pitfalls in Tests of Financial Contagion

Journal of International Money and Finance, Vol. 24, 2005
Number of pages: 23 Posted: 05 Sep 2008
Giancarlo Corsetti, Marcello Pericoli and Massimo Sbracia
European University Institute, Bank of Italy and Bank of Italy
Downloads 330 (170,141)
Citation 4

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Contagion; Financial crisis; Factor model; Correlation analysis

Some Contagion, Some Interdependence: More Pitfalls in Tests of Financial Contagion

Number of pages: 32 Posted: 09 May 2002
Giancarlo Corsetti, Marcello Pericoli and Massimo Sbracia
European University Institute, Bank of Italy and Bank of Italy
Downloads 37 (827,792)
Citation 35
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Contagion, financial crisis, factor model, correlation analysis

Bond Risk Premia, Macroeconomic Fundamentals and the Exchange Rate

Bank of Italy Temi di Discussione (Working Paper) No. 699
Number of pages: 51 Posted: 11 Mar 2009
Marcello Pericoli and Marco Taboga
Bank of Italy and Bank of Italy
Downloads 149 (363,756)
Citation 59

Abstract:

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exchange rate, term structure, UIP

Bond Risk Premia, Macroeconomic Fundamentals and the Exchange Rate

Number of pages: 45 Posted: 19 Feb 2009
Marcello Pericoli and Marco Taboga
Bank of Italy and Bank of Italy
Downloads 117 (440,202)
Citation 5

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bond risk premium, exchamge rate, affine model

7.

'Pure' or 'Wake-Up-Call' Contagion? Another Look at the EMU Sovereign Debt Crisis

Midwest Finance Association 2013 Annual Meeting Paper
Number of pages: 26 Posted: 30 Aug 2012
Raffaela Giordano, Marcello Pericoli and Pietro Tommasino
Bank of Italy, Bank of Italy and Bank of Italy
Downloads 247 (230,793)
Citation 8

Abstract:

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contagion. EMU debt crisis, panel cointegration

8.

Expected Inflation and Inflation Risk Premium in the Euro Area and in the United States

Bank of Italy Temi di Discussione (Working Paper) No. 842
Number of pages: 42 Posted: 29 Feb 2012
Marcello Pericoli
Bank of Italy
Downloads 167 (330,360)
Citation 24

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real and nominal term structure, inflation risk premium, affine term structure, Kalman filter

9.

Monetary Policy Surprises Over Time

Bank of Italy Temi di Discussione (Working Paper) No. 1102
Number of pages: 55 Posted: 05 Apr 2017
Marcello Pericoli and Giovanni Veronese
Bank of Italy and Bank of Italy
Downloads 158 (346,335)
Citation 24

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monetary policy surprises, unconventional monetary policy

10.

Canonical Term-Structure Models with Observable Factors and the Dynamics of Bond Risk Premiums

Bank of Italy Economic Research Paper No. 580
Number of pages: 45 Posted: 10 Apr 2006
Marcello Pericoli and Marco Taboga
Bank of Italy and Bank of Italy
Downloads 143 (375,657)
Citation 56

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term structure models, yield curve, risk premium

11.

An analysis of objective inflation expectations and inflation risk premia

Bank of Italy Temi di Discussione (Working Paper) No. 1380
Number of pages: 51 Posted: 07 Dec 2022
Sara Cecchetti, Adriana Grasso and Marcello Pericoli
Bank of Italy, Bank of Italy and Bank of Italy
Downloads 127 (411,994)

Abstract:

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inflation density, inflation risk premium, objective probability

12.

Canonical Term-Structure Models with Observable Factors and the Dynamics of Bond Risk Premia

Journal of Money, Credit, and Banking, 2008
Number of pages: 34 Posted: 05 Sep 2008
Marcello Pericoli and Marco Taboga
Bank of Italy and Bank of Italy
Downloads 117 (438,236)
Citation 3

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term structure models, yield curve, risk premium

13.

Understanding Policy Rates at the Zero Lower Bound: Insights from a Bayesian Shadow Rate Model

Bank of Italy Temi di Discussione (Working Paper) No 1023
Number of pages: 41 Posted: 20 Jan 2016
Marcello Pericoli and Marco Taboga
Bank of Italy and Bank of Italy
Downloads 112 (452,622)
Citation 24

Abstract:

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zero lower bound, shadow rate term structure model

14.

Real Term Structure and Inflation Compensation in the Euro Area

Bank of Italy Temi di Discussione (Working Paper) No. 841
Number of pages: 50 Posted: 29 Feb 2012
Marcello Pericoli
Bank of Italy
Downloads 103 (480,878)
Citation 6

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index-linked bond, real term structure, inflation compensation, inflation risk premium, smoothing spline

15.

Forecaster Heterogeneity, Surprises and Financial Markets

Bank of Italy Temi di Discussione (Working Paper) No. 1020
Number of pages: 44 Posted: 08 Nov 2015
Marcello Pericoli and Giovanni Veronese
Bank of Italy and Bank of Italy
Downloads 98 (497,223)
Citation 18

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surprises, forecaster heterogeneity, foreign exchange, long-term interest rates, unconventional monetary policy

16.

Decomposing Euro Area Sovereign Spreads: Credit, Liquidity and Convenience

Bank of Italy Temi di Discussione (Working Paper) No. 1021
Number of pages: 52 Posted: 08 Nov 2015
Marcello Pericoli and Marco Taboga
Bank of Italy and Bank of Italy
Downloads 94 (510,867)
Citation 15

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sovereign spreads, liquidity premia, convenience yields

17.

Pure or Wake-Up-Call Contagion? Another Look at the EMU Sovereign Debt Crisis

Bank of Italy Temi di Discussione (Working Paper) No. 904
Number of pages: 40 Posted: 03 May 2013
Raffaela Giordano, Marcello Pericoli and Pietro Tommasino
Bank of Italy, Bank of Italy and Bank of Italy
Downloads 70 (608,053)
Citation 28

Abstract:

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sovereign bond spread, contagion, non-stationary panels

18.

Macroeconomic and Monetary Policy Surprises and the Term Structure of Interest Rates

Bank of Italy Temi di Discussione (Working Paper) No. 927
Number of pages: 53 Posted: 23 Nov 2013
Marcello Pericoli
Bank of Italy
Downloads 67 (622,220)
Citation 15

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inflation risk premium, affine term structure, Kalman filter, macroeconomic and monetary surprises

19.
Downloads 61 (652,764)

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20.

Surprises in the Term Structure

Number of pages: 37 Posted: 30 Aug 2012
Marcello Pericoli
Bank of Italy
Downloads 60 (658,106)

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inflation risk premium, affine term structure, Kalman filter, macroeconomic and monetary surprises

21.

Sovereign Spreads and Economic Fundamentals: An Econometric Analysis

Bank of Italy Occasional Paper No. 713
Number of pages: 24 Posted: 30 May 2023
Donato Ceci and Marcello Pericoli
Bank of Italy and Bank of Italy
Downloads 51 (709,631)
Citation 1

Abstract:

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sovereign bond spread, macroeconomic fundamentals, risk aversion

22.

Nearly Exact Bayesian Estimation of Non-Linear No-Arbitrage Term Structure Models

Bank of Italy Temi di Discussione (Working Paper) No. 1189, September 2018
Number of pages: 50 Posted: 09 Jul 2019
Marcello Pericoli and Marco Taboga
Bank of Italy and Bank of Italy
Downloads 39 (790,912)
Citation 19

Abstract:

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yield curve, shadow rate, deep learning, artificial intelligence